Michele Tumminello

University of Palermo

Viale delle Scienza

Palermo, Palermo 90128

Italy

Carnegie Mellon University - Department of Social and Decision Sciences

postdoctoral fellow

Pittsburgh, PA 15213-3890

United States

  • University of Palermo

  • Carnegie Mellon University - Department of Social and Decision Sciences

SCHOLARLY PAPERS

16

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SSRN CITATIONS
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49

CROSSREF CITATIONS

39

Scholarly Papers (16)

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1.

Comparing Correlation Matrix Estimators Via Kullback-Leibler Divergence

Number of pages: 20 Posted: 02 Dec 2011
Vanessa Mattiussi, Michele Tumminello, Giulia Iori and Rosario N. Mantegna
City University London - Department of Economics, University of Palermo, City University London - Department of Economics and University of Palermo
Downloads 471 (84,089)
Citation 2

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Correlation estimation, Pearson estimator, Fourier estimator, Hayashi-Yoshida estimator, Kullback-Leibler divergence

2.

Correlation, Hierarchies, and Networks in Financial Markets

Journal of Economic Behavior and Organization, Forthcoming
Number of pages: 38 Posted: 29 May 2010
Michele Tumminello, Fabrizio Lillo and Rosario N. Mantegna
University of Palermo, Università di Bologna and University of Palermo
Downloads 374 (109,804)
Citation 14

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Multivariate Analysis, Hierarchical Clustering, Correlation Based Networks, Bootstrap Validation, Factor Models, Kullback-Leibler Distance

3.

How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics

Number of pages: 43 Posted: 22 Aug 2015 Last Revised: 23 Jun 2019
Chester Curme, Michele Tumminello, Rosario N. Mantegna, H. Eugene Stanley and Dror Y. Kenett
Boston University, University of Palermo, University of Palermo, Boston University - Center for Polymer Studies and Financial Industry Regulatory Authority (FINRA)
Downloads 299 (139,829)
Citation 3

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Financial markets, Market structure, Correlation analysis, Epps effect, Lead-lag

4.

Identification of Clusters of Investors from Their Real Trading Activity in a Financial Market

Number of pages: 25 Posted: 20 Jul 2011 Last Revised: 25 Jul 2011
Michele Tumminello, Fabrizio Lillo, Jyrki Piilo and Rosario N. Mantegna
University of Palermo, Università di Bologna, University of Turku and University of Palermo
Downloads 184 (222,700)
Citation 11

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Financial markets, Institutional and individual investors, Households finance, Complex systems, Networks

5.

How News Affect the Trading Behavior of Different Categories of Investors in a Financial Market

Number of pages: 30 Posted: 16 Jul 2012
Fabrizio Lillo, Salvatore Miccichè, Michele Tumminello, Jyrki Piilo and Rosario N. Mantegna
Università di Bologna, University of Palermo - Department of Physics and Chemistry, University of Palermo, University of Turku and University of Palermo
Downloads 183 (223,768)
Citation 9

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Firm-specific news, News sentiment, Trading, Single investors

6.

When do Improved Covariance Matrix Estimators Enhance Portfolio Optimization? An Empirical Comparative Study of Nine Estimators

Number of pages: 30 Posted: 27 Apr 2010
Ester Pantaleo, Michele Tumminello, Fabrizio Lillo and Rosario N. Mantegna
Università degli Studi di Bari “Aldo Moro” (UNIBA), University of Palermo, Università di Bologna and University of Palermo
Downloads 173 (234,812)
Citation 4

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portfolio optimization, covariance matrix estimator

7.

Designing and Pricing Guarantee Options in Defined Contribution Pension Plans

Insurance: Mathematics and Economics, Vol. 65, pp. 267–279, November 2015,
Number of pages: 30 Posted: 12 Feb 2015 Last Revised: 11 Dec 2015
Andrea Consiglio, Michele Tumminello and Stavros A. Zenios
University of Palermo - d/SEAS, University of Palermo and University of Cyprus
Downloads 159 (252,009)
Citation 1

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Pensions, minimum guarantee, defined benefits, defined contributions, embedded options, risk sharing, portfolio selection, stochastic programming

8.

Quantifying Preferential Trading in the e-MID Interbank Market

Number of pages: 25 Posted: 25 Oct 2013 Last Revised: 05 Nov 2013
Vasilis Hatzopoulos, Giulia Iori, Rosario N. Mantegna, Salvatore Miccichè and Michele Tumminello
City University London - Department of Economics, City University London - Department of Economics, University of Palermo, University of Palermo - Department of Physics and Chemistry and University of Palermo
Downloads 113 (326,894)
Citation 5

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Interbank markets, interbank rates, preferential links, statistically validated networks

9.

Pricing Sovereign Contingent Convertible Debt

International journal of theoretical and applied finance, Vol. 1, no. 7, 2018
Number of pages: 32 Posted: 25 Jul 2016 Last Revised: 12 Jul 2021
Andrea Consiglio, Michele Tumminello and Stavros A. Zenios
University of Palermo - d/SEAS, University of Palermo and University of Cyprus
Downloads 106 (341,514)
Citation 6

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contingent bonds, sovereign debt, debt restructuring, state-contingent pricing, regime switching, credit default swaps

10.

Evolution of Worldwide Stock Markets, Correlation Structure and Correlation Based Graphs

Number of pages: 21 Posted: 01 Aug 2011
Dong-Ming Song, Michele Tumminello, Wei-Xing Zhou and Rosario N. Mantegna
East China University of Science and Technology (ECUST), University of Palermo, East China University of Science and Technology - School of Business and University of Palermo
Downloads 103 (348,022)

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financial markets, globalization, correlation-based networks

11.

Emergence of Statistically Validated Financial Intraday Lead-Lag Relationships

Number of pages: 17 Posted: 03 Jan 2014
Chester Curme, Michele Tumminello, Rosario N. Mantegna, H. Eugene Stanley and Dror Y. Kenett
Boston University, University of Palermo, University of Palermo, Boston University - Center for Polymer Studies and Financial Industry Regulatory Authority (FINRA)
Downloads 91 (376,699)
Citation 5

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Multivariate Analysis, Correlation Based Networks, Bootstrap Validation, Lagged Correlations

12.

Statistically Validated Networks in Bipartite Complex Systems

Number of pages: 34 Posted: 03 Oct 2010 Last Revised: 30 Oct 2013
Michele Tumminello, Salvatore Miccichè, Fabrizio Lillo, Jyrki Piilo and Rosario N. Mantegna
University of Palermo, University of Palermo - Department of Physics and Chemistry, Università di Bologna, University of Turku and University of Palermo
Downloads 91 (376,699)
Citation 5

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Networks, Complex Systems

13.

The Phenomenology of Specialization of Criminal Suspects

Number of pages: 22 Posted: 17 Aug 2012
Michele Tumminello, Christofer Edling, Fredrik Liljeros, Rosario N. Mantegna and Jerzy Sarnecki
University of Palermo, affiliation not provided to SSRN, Stockholm University - Department of Sociology, University of Palermo and affiliation not provided to SSRN
Downloads 54 (497,070)
Citation 1

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complex systems, social systems, crime, networks

14.

Networked Relationships in the e-MID Interbank Market: A Trading Model with Memory

Number of pages: 37 Posted: 14 Mar 2014
Giulia Iori, Rosario N. Mantegna, Luca Marotta, Salvatore Miccichè, James Porter and Michele Tumminello
City University London - Department of Economics, University of Palermo, University of Palermo, University of Palermo - Department of Physics and Chemistry, City University London and University of Palermo
Downloads 49 (518,225)
Citation 5

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15.

Quantitative Analysis of Gender Stereotypes and Information Aggregation in a National Election

Number of pages: 9 Posted: 11 Nov 2012
Michele Tumminello, Salvatore Miccichè, Jan Varho, Jyrki Piilo and Rosario N. Mantegna
University of Palermo, University of Palermo - Department of Physics and Chemistry, University of Turku, University of Turku and University of Palermo
Downloads 43 (545,979)

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candidate gender, information aggregation in voting, quantitative analysis of political profile

16.

Structure and Evolution of a European Parliament via a Network and Correlation Analysis

Number of pages: 15 Posted: 13 Feb 2016
Elena Puccio, Antti Pajala, Jyrki Piilo and Michele Tumminello
University of Palermo, University of Turku, University of Turku and University of Palermo
Downloads 36 (581,796)

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